effectiveSize {coda} | R Documentation |
Effective sample size for estimating the mean
Description
Sample size adjusted for autocorrelation.
Usage
effectiveSize(x)
Arguments
x |
An mcmc or mcmc.list object. |
Details
For a time series x
of length N
, the standard error of the
mean is the square root of var(x)/n
where n
is the
effective sample size. n = N
only when there is no
autocorrelation.
Estimation of the effective sample size requires estimating the
spectral density at frequency zero. This is done by the function
spectrum0.ar
For a mcmc.list
object, the effective sizes are summed across
chains. To get the size for each chain individually use
lapply(x,effectiveSize)
.
Value
A vector giving the effective sample size for each column of x
.
See Also
[Package coda version 0.19-4.1 Index]